Technical Trading Rule Performance, Genetic Algorithm, and Data Snooping: An Empirical Study of the Asian Stock Markets
碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This study utilize White’s Reality Check bootstrap methodology (Sullivan, Timmermann, and White (1999)) to evaluate simple technical trading rules which quantifying the data-snooping bias and fully adjusting for its effect in the context of the two ful...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49437852338181834999 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This study utilize White’s Reality Check bootstrap methodology (Sullivan, Timmermann, and White (1999)) to evaluate simple technical trading rules which quantifying the data-snooping bias and fully adjusting for its effect in the context of the two full universes (STW and GA rules) from which the trading rules were drawn and searched by using Genetic Algorithm. Hence, the paper presents a comprehensive test of performance across all technical trading rules examined. Apply the two group of trading rules to 31 years of daily data on the Taiwan Stock Exchange Capitalization Weighted Stock Index, and determine the effects of data-snooping. Also apply STW rules to 12 years of daily data on the Asian stock markets, and assess whether simple technical trading rules can perform better than holding cash in Asian markets.
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